"Copy from active" doesn't work as expected
The command Copy from Active belongs to the Rigid Body Tools panel, which is a subcategory of the Physics Tab:



As stated by the Hint, Copy from active is just referring to the


  Rigid Body settings


and not to the whole physics settings. Rigid body physics is treated in a different way.



You can copy the other physics settings from the active object of the selection by Making Links (Ctrl+L) and choosing the Modifiers option.